Multivariate Time Series With Linear State Space Structure

Multivariate Time Series With Linear State Space Structure

Gomez, Victor

Springer International Publishing AG

05/2018

541

Mole

Inglês

9783319803852

15 a 20 dias

8365

Descrição não disponível.

Preface.- Computer Software.- Orthogonal Projection.- Linear Models.- Stationarity and Linear Time Series Models.- The State Space Model.- Time Invariant State Space Models.- Time Invariant State Space Models With Inputs.- Wiener-Kolmogorov Filtering and Smoothing.- SSMMATLAB.- Bibliography.- Author Index.- Subject Index.

Este título pertence ao(s) assunto(s) indicados(s). Para ver outros títulos clique no assunto desejado.

37M10, 62-XX, 62M10, 93E11, 62M20, 60Gxx, 65Fxx;time series;state space models;signal extraction;Kalman filter;forecasting;smoothing;multivariate time series;algorithms for state space models;MATLAB;Wiener-Kolmogorov theory